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A bank holds a trading portfolio (long position) valued at $200,000. The distribution of the daily return on this portfolio is normally distributed with a
A bank holds a trading portfolio (long position) valued at $200,000. The distribution of the daily return on this portfolio is normally distributed with a mean zero and standard deviation of 5%. What is the DEAR (in $) under 5-percent most adverse market movement scenario?
(Please only provide the magnitude of DEAR, i.e. without a minus sign and round your answer to two decimal places)
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